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Extending Scope of Robust Optimization: Comprehensive Robust Counterparts of Uncertain Problems.
- Source :
-
Mathematical Programming . Jun2006, Vol. 107 Issue 1/2, p63-89. 27p. - Publication Year :
- 2006
-
Abstract
- In this paper, we propose a new methodology for handling optimization problems with uncertain data. With the usual Robust Optimization paradigm, one looks for the decisions ensuring a required performance for all realizations of the data from a given bounded uncertainty set, whereas with the proposed approach, we require also a controlled deterioration in performance when the data is outside the uncertainty set. The extension of Robust Optimization methodology developed in this paper opens up new possibilities to solve efficiently multi-stage finite-horizon uncertain optimization problems, in particular, to analyze and to synthesize linear controllers for discrete time dynamical systems. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00255610
- Volume :
- 107
- Issue :
- 1/2
- Database :
- Academic Search Index
- Journal :
- Mathematical Programming
- Publication Type :
- Academic Journal
- Accession number :
- 19933241
- Full Text :
- https://doi.org/10.1007/s10107-005-0679-z